I think the program uses parts of the FSX SDK to compile stuff, so you must define the folder where it can find e.g. that bgl.exe thingy.
The SDK has to be installed first and should be available on the deluxe or gold edition of the FSX DVDs if it isn't installed so far.

But I'm just assuming things here since I've never tried any dev work. Nobody would ever want to fly there either way, so I'm ok.  :D